spread calculation

cryptotanette · Nov 13, 2021 · 0347c42 · 0347c42
1 parent 86cc395
commit 0347c42
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Showing 4 changed files with 15 additions and 1 deletion.
diff --git a/.user.cfg.example b/.user.cfg.example
@@ -8,6 +8,7 @@ hourToKeepScoutHistory=1
 use_margin=no
 scout_multiplier=5
 scout_margin=0.8
+spead=auto
 scout_sleep_time=1
 strategy=default
 buy_timeout=0

diff --git a/README.md b/README.md
@@ -60,6 +60,7 @@ Create a .cfg file named `user.cfg` based off `.user.cfg.example`, then add your
 -   **use_margin** - 'yes' to use scout_margin. 'no' to use scout_multiplier.
 -   **scout_multiplier** - Controls the value by which the difference between the current state of coin ratios and previous state of ratios is multiplied. For bigger values, the bot will wait for bigger margins to arrive before making a trade.
 -   **scout_margin** - Minimum percentage coin gain per trade. 0.8 translates to a scout multiplier of 5 at 0.1% fee.
+-   **spread** - "auto" to estimate based on current spread, or input a value. This value is the percentage difference between the buy price and sell price, as sell price is always cheaper.
 -   **strategy** - The trading strategy to use. See [`binance_trade_bot/strategies`](binance_trade_bot/strategies/README.md) for more information
 -   **buy_timeout/sell_timeout** - Controls how many minutes to wait before cancelling a limit order (buy/sell) and returning to "scout" mode. 0 means that the order will never be cancelled prematurely.
 -   **scout_sleep_time** - Controls how many seconds bot should wait between analysis of current prices. Since the bot now operates on websockets this value should be set to something low (like 1), the reasons to set it above 1 are when you observe high CPU usage by bot or you got api errors about requests weight limit.

diff --git a/binance_trade_bot/auto_trader.py b/binance_trade_bot/auto_trader.py
@@ -128,9 +128,19 @@ def _get_ratios(self, coin: Coin, coin_price):
             to_fee = self.manager.get_fee(pair.to_coin, self.config.BRIDGE, False)
             transaction_fee = from_fee + to_fee - from_fee * to_fee
 
+
+            # Spread
+            if self.config.SPREAD == "auto":
+                coinBuyPrice = self.manager.get_buy_price(pair.to_coin + self.config.BRIDGE)
+                coinSellPrice = self.manager.get_sell_price(pair.to_coin + self.config.BRIDGE)
+                spread = coinBuyPrice / coinSellPrice - 1
+            else:
+                spread = float(self.config.SPREAD) / 100
+
+
             if self.config.USE_MARGIN == "yes":
                 ratio_dict[pair] = (
-                    (1- transaction_fee) * coin_opt_coin_ratio / pair.ratio - 1 - self.CONFIG.SCOUT_MARGIN / 100
+                    (1- transaction_fee - spread) * coin_opt_coin_ratio / pair.ratio - 1 - self.CONFIG.SCOUT_MARGIN / 100
                     )
             else:
                 ratio_dict[pair] = (

diff --git a/binance_trade_bot/config.py b/binance_trade_bot/config.py
@@ -17,6 +17,7 @@ def __init__(self):
             "use_margin": "no",
             "scout_multiplier": "5",
             "scout_margin": "0.8",
+            "spread": "auto",
             "scout_sleep_time": "5",
             "hourToKeepScoutHistory": "1",
             "tld": "com",
@@ -75,3 +76,4 @@ def __init__(self):
 
         self.USE_MARGIN = os.environ.get("USE_MARGIN") or config.get(USER_CFG_SECTION, "use_margin")
         self.SCOUT_MARGIN = os.environ.get("SCOUT_MARGIN") or config.get(USER_CFG_SECTION, "scout_margin")
+        self.SPREAD = os.environ.get("SPREAD") or config.get(USER_CFG_SECTION, "spread")